A avaliación da performance dos fondos de inversión

Abstract

[Resumo] Este traballo céntrase na aplicación das medidas de performance a fondos de inversión ca fin de elaborar clasificacións de fondos útiles para os inversores. Nel revísanse as medidas clásica, propostas por Sharpe, Treynor e Jensen, que son as máis aplicadas na práctica, e as variantes propostas por Ferruz e Sarto, que tratan de corrixir problemas de medición de aquelas. E constátase, tanto a nivel teórico como empírico, que as variantes dan lugar a rankings máis correctos qie os obtidos cas medidas clásicas, aínda que non son totalmente fiables en determinadas condicións do mercado, como as que se deron en anos recentes. Por outro lado, co estudo empírico levado a cabo cunha mostra de 78 fondos de inversión españois no período 2003 – 2014 tamén se observa que son poucos os fondos que conseguen mellor resultado que os seus benchmarks. Isto permite cuestionar a bondade da xestión realizada por unha parte importante das sociedades xestoras de carteiras consideradas no estudo.

[Abstract] This paper focuses on the application of performance measures to mutual funds in order to develop useful fund classifications for investors. Both the classical measures, proposed by Sharpe, Treynor and Jensen, more commonly implemented in the professional practice, and the alternatives proposed by Ferruz and Sarto, which try to correct measurement problems of the former, are reviewed. And it is found, theoretically and empirically, that the alternative measures result in more accurate rankings than those obtained with the classical measures, though not completely reliable in certain market conditions, such as those that have occurred in recent years. On the other hand, the empirical study conducted with a sample of 78 Spanish mutual funds in the period 2003-2014 also shows that there are few funds that get better results than their benchmarks. This allows calling into question the management carried out by a good number of the portfolio management companies considered in the study.